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Decomposing Exchange Rate Volatility Around the Pacific Rim

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Author Info

  • Mardi H Dungey

    (Department of Economics and Finance, La Trobe University)

Abstract

Volatility in exchange rates is decomposed into components associated with domestic and international concerns for six Pacific Rim currencies. A latent factor model is used to model bilateral exchange rate changes as the weighted sum of three factors; two factors are uniquely associated with each of the currencies involved in the exchange rates and the other represents world shocks common to all exchange rates.

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Bibliographic Info

Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1999.12.

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Length: 15 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:ltr:wpaper:1999.12

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Web page: http://www.latrobe.edu.au/economics
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Related research

Keywords: Exchange Rate; Volatility; Economics EDIRC Provider-Institution: RePEc:edi:smlatau;

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Cited by:
  1. Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
  2. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.
  3. Kenneth W. Clements & Renee Fry, 2006. "Commodity Currencies and Currency Commodities," Economics Discussion / Working Papers 06-17, The University of Western Australia, Department of Economics.
  4. Renee Fry & Vance Martin & Brenda González-Hermosillo & Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.
  5. Hawkesby, Christian & Marsh, Ian W. & Stevens, Ibrahim, 2007. "Comovements in the equity prices of large complex financial institutions," Journal of Financial Stability, Elsevier, vol. 2(4), pages 391-411, March.
  6. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
  7. Angelo Polydoro, 2005. "Contagion in Latin America," Macroeconomics 0503008, EconWPA.
  8. Shakila Aruman, 2003. "The Effectiveness of Foreign Exchange Intervention in Australia: A Factor Model Approach with GARCH Specifications," School of Economics and Finance Discussion Papers and Working Papers Series 135, School of Economics and Finance, Queensland University of Technology.

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